Box Spread Yield vs Bloomberg

I want to calculate an effective yield for an SPX box Spread such that it can be directly comparable to the yield that shows up on Bloomberg for a US Treasury with similar maturity. What would be the best formula to use and does it need to take extra settlement days past maturity into account? I was using BC2 function for a 3m maturity and it seemed high so not sure if there was a better spot. Thanks!

2 comments held Reddit says 0 on reddit ↗

u/AcanthaceaeEqual4335 1 3 days ago

Bloomberg's BC2 function uses a money market basis (actual/360) for short-term stuff under a year, so if you're comparing to treasury yields you'd want to convert that to bond equivalent yield first. The formula is just BEY = (discount yield days to maturity) Make sure the days count matches too, SPX boxes settle T+1 and treasuries are T+1 now as well so you shouldn't need extra settlement days beyond that
u/iron_condor34 1 3 days ago

Don't even need to do that. Its nice if you want too but you can just go to boxspread.com and compare